A modified Wilcoxon test for change points in long-range dependent time series

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 192
Issue: C

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper considers testing for structural change in long-memory time series. We modify the Wilcoxon two-sample rank test by standardizing it with a kernel-based fixed bandwidth long-run variance estimator. The corresponding test statistic converges to a well-defined distribution under the null hypothesis. In a Monte Carlo simulation we confirm that the test provides good finite sample size and power results and compare it with an existing approach.

Technical Details

RePEc Handle
repec:eee:ecolet:v:192:y:2020:i:c:s016517652030166x
Journal Field
General
Author Count
2
Added to Database
2026-01-29